On bivariate extreme value copulas with polynomial dependence functions.
Date: Friday, 4 June 2021
Time: 3-4pm
Speaker: Associate Professor Berwin Turlach (University of Western Australia)
Abstract: We discuss how the mixed model and the asymmetric mixed model family of bivariate extreme value can be extended to bivariate extreme value copulas with polynomial dependence function of arbitrary degree. An algorithm for fitting extreme value copulas with polynomial dependence functions to data will be presented and various practical issues that arise when fitting bivariate extreme value copula models will be discussed.
Bio: Berwin Turlach is an Associate Professor at the University of Western Australia, having previously worked at the Australian National University, the University of Adelaide, and the National University of Singapore. He received a degree as Diplom–Mathematiker from the Rheinische Friedrich–Wilhelms–Universität Bonn, Germany, in 1991, and his Diplôme d'Etudes Approfondies en mathématique and Docteur en Statistique from the Université Catholique de Louvain in Louvain-la-Neuve, Belgium, in 1992 and 1994, respectively. His research interests include nonparametric smoothing methods, computational statistics, and applied statistics.